Usually, I check stuff physically if I'm to buy them, generally if it's something like headphones or gamepad I've already used that model which I'm ordering online.
In stores they hike prices like crazy, on amazon I get it in some good discount and there is a good return policy, in stores that may not work out well.
So you check the stuff out at a store then buy from Amazon?
Not just store, friend or someone I know and on good terms on usually already has something good to say about something, then I check with their item and if possible with the store and then buy. Remember that store generally doesn't allow you to take items out of packages unless you are buying and that demo things are thing of past, now there are generally no demo items to check out either.
This makes return policy more and more important, in fact, this is one of the reasons I always check if there is return policy or not, sometimes more than a discount price.
The only place you really get to check is malls, I've plenty of them around so it usually works for me to get some idea about it before buying. These malls generally have really big displays for games and gaming related items, you should probably check out there too.